A decision-theoretic approach to model averaging

Walker, Stephen G. and Gutierrez-Pena, Eduardo and Muliere, Pietro
(2001)
A decision-theoretic approach to model averaging.
Journal of the Royal Statistical Society: Series D (The Statistician), 50
(1).
pp. 31-39.
ISSN 0039-0526.
(The full text of this publication is not available from this repository)

Abstract

A topic which is receiving much current attention is the problem of Bayesian model averaging. This paper introduces a decision theoretic approach to the selection of the mixing density in the exchangeable data case. This effectively chooses an optimal averaging of the models according to some well-defined criterion.